Event Study Parameter Set

The parameter set defines the Event Study, e.g, the return calculation, the event study model, the AR, CAR, AAR, and CAAR test statistics that should be applied.

See also

Other eventstudy-pipeline: EventStudyTask, calculate_statistics(), fit_model(), prepare_event_study(), run_event_study()

Public fields

return_calculation

A R6 object for calculating returns.

return_model

A R6 object for fitting the desired model.

single_event_statistics

single event test statistic R6 object.

multi_event_statistics

multi event test statistic R6 object.

study_type

Type of event study: "return" (default), "volume", or "volatility". Affects axis labels in plots.

degenerate_handling

Controls how degenerate estimation data is handled. One of "lenient" (default), "strict", or NULL (defer to package option or built-in default). See ?degenerate-input-contract for details.

Methods

Public methods

• ParameterSet$new()

• ParameterSet$print()

• ParameterSet$clone()

---

ParameterSet$new()

Initialize the parameters that defines the Event Study that should be applied.

Usage

ParameterSet$new(
  return_calculation = SimpleReturn$new(),
  return_model = MarketModel$new(),
  single_event_statistics = SingleEventStatisticsSet$new(),
  multi_event_statistics = MultiEventStatisticsSet$new(),
  degenerate_handling = NULL
)

Arguments

return_calculation

An initialized return calculation class. Defaults to SimpleReturn.

return_model

An initialized event study model. Defaults to MarketModel.

single_event_statistics

Definition of single event test statistics. Defaults to SingleEventStatisticsSet (AR T and CAR T tests).

multi_event_statistics

Definition of multiple event test statistics. Defaults to MultiEventStatisticsSet (CSect T test).

degenerate_handling

One of "lenient", "strict", or NULL. See ?degenerate-input-contract.

---

ParameterSet$print()

Print a summary of the parameter set.

Usage

ParameterSet$print(...)

---

ParameterSet$clone()

The objects of this class are cloneable with this method.

Usage

ParameterSet$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.